paranorm: For discrete series, Probability Integral Transform sampling...

In nicholasjclark/mvforecast: Tools to fit, interrogate and forecast multivariate statistical and machine learning timeseries models

Description

For discrete series, Probability Integral Transform sampling maps observations onto a Uniform distribution that is then mapped onto a Gaussian distribution for modelling. This is essentially a copula method where we assume the 'marginal' is a discrete distribution. This function ranks log(x + 0.01) transformed values of x to generate the Uniform(0,1) marginal and then uses qnorm to map these onto an approximately Gaussian distribution

Usage

paranorm(x)

Arguments

x	vector of values representing the discrete count vector

Value

A vector of approximately Gaussian PIT-transformed values

nicholasjclark/mvforecast documentation built on Dec. 22, 2021, 2:11 a.m.